Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos S - 2021
Forecasts of stock market volatility is an important input for market participants in measuring and managing investment … Machine Learning methods, and specifically Artificial Neural Network (ANN) models to forecast volatility. The ANN models are … measures including the value-at-risk (VaR) average failure rate, the Kupiec LR test, the Christoffersen independence test, the …